Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Michael Giles, Desmond Higham () and Xuerong Mao

Finance and Stochastics, 2009, vol. 13, issue 3, 403-413

Keywords: Barrier option; Complexity; Digital option; Euler–Maruyama; Lookback option; Path-dependent option; Statistical error; Strong error; Weak error; 65C05; 60H10; C15; C63 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s00780-009-0092-1

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